A finite difference scheme for conservation laws driven by Lévy noise

DOI10.1093/imanum/drx023zbMath1477.65137arXiv1604.07840MaRDI QIDQ4555962

Vallet, Guy, Ujjwal Koley, Ananta K. Majee

Publication date: 23 November 2018

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.07840

zbMATH Keywords

error estimates; conservation laws; Young measures; finite difference schemes; Lévy noise; stochastic entropy solution

Mathematics Subject Classification ID

35L65: Hyperbolic conservation laws

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs

35R60: PDEs with randomness, stochastic partial differential equations

65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs

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